Lower and upper bounds of large deviation for sums of subexponential claims in a multi-risk model

DOI10.1016/J.SPL.2011.08.003zbMATH Open1232.91353OpenAlexW1987010459MaRDI QIDQ645449FDOQ645449

Authors: Dawei Lu 

Publication date: 15 November 2011

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2011.08.003

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zbMATH Keywords

large deviationrenewal counting processmulti-risk modelsubexponential class

Mathematics Subject Classification ID

Large deviations (60F10) Central limit and other weak theorems (60F05) Sums of independent random variables; random walks (60G50)

Cites Work

• Large deviations of heavy-tailed random sums with applications in insurance and finance
• Precise large deviations for sums of random variables with consistently varying tails
• Precise Large Deviations for Sums of Random Variables with Consistently Varying Tails in Multi-Risk Models
• A property of the renewal counting process with application to the finite-time ruin probability
• Tail behaviour of the busy period of a GI/GI/1 queue with subexponential service times
• Precise large deviation results for the total claim amount under subexponential claim sizes

Cited In (5)

• Precise large deviations of aggregate claims with dominated variation in dependent multi-risk models
• The exponential moment tail of inhomogeneous renewal process
• Lower bounds of large deviation for sums of long-tailed claims in a multi-risk model
• Precise large deviations for the difference of two sums of WUOD and non identically distributed random variables with dominatedly varying tails
• Precise large deviations for the difference of two sums of END random variables with heavy tails

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